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opposite sign. The following model provides an economic interpretation of the residual structural shock, namely the financial … market shock. This new shock is designed to capture an unanticipated change in the benefit of holding crude oil inventories …
Persistent link: https://www.econbiz.de/10011794647
structural parameters of interest, such as supply and demand elasticises. Our model incorporates both the futures-spot price … structural shock that we label expectational shock. This shock plays a crucial role when describing the series of events that …
Persistent link: https://www.econbiz.de/10013254444
Persistent link: https://www.econbiz.de/10015083657
type of the structural shock of interest. Understanding the response of the risk premium to unexpected changes in the price …
Persistent link: https://www.econbiz.de/10011794500
The aim of this paper is to investigate how major net oil exporter economies react to oil price shocks. We contribute to the literature by considering, at the same time, the possible nonlinearity and asymmetry of this relationship with respect to sign, size and causes of the oil price shocks, as...
Persistent link: https://www.econbiz.de/10012519959
Structural VAR models are frequently identified using sign restrictions on impulse responses. Moving beyond the popular but restrictive Normal-inverse-Wishart-Uniform prior, we develop a methodology that can handle almost any prior distribution on contemporaneous responses. We then propose a new...
Persistent link: https://www.econbiz.de/10011954423
This paper extends the Bayesian proxy SVAR model (BP-SVAR) of Caldara and Herbst (2019) to examine changes in the transmission of structural shocks in the presence of regime shifts in an economy. I provide a Metropolis-within-Gibbs sampling algorithm to approximate the posterior distribution of...
Persistent link: https://www.econbiz.de/10012160515
Persistent link: https://www.econbiz.de/10012221928
addition through uncertainty effects, the current slump might then be depressing aggregate demand by increasing the real … following the slump points to the accommodation of the shock by the ECB, concurrent with the implementation of the Quantitative …
Persistent link: https://www.econbiz.de/10011451685
Persistent link: https://www.econbiz.de/10011414092